| Category Code | Category Description | Usage Notes |
|---|---|---|
A | Bid/Ask/LAST | Report futures price changes (Lasts) during RTH. |
C | Control Messages | System Status notification. Type Codes: A, B, C,D, E, I, J, K, N, O, S, T and X |
E | Exceptional Quote | Exceptional Indicators: B & P |
e | Block Spread | A specialized type of Open Outcry spread |
F | Market Condition | Market Condition: A, B, E, F, P, and Q |
H | High/Low/LAST | Transmitted only when an adjustment affect H/L& at end of each session. |
I | Volume & Open Interest | Prior day actual Vol & OI sent early A.M. (includes both session info). |
J | Summary | Sent at the end of each session to help vendors verify accuracy of data. |
N | Bid/Ask/LAST | Used during RTH for some futures and all options. |
Q | Settlement & Limits | When reporting limits, the Session ID will be filled & the settlement blank. |
t | LAST & Volume of trade | Report futures and options price changes (LASTS) & volume during ETH. |
U | Special Range | Range Indicators: C(RTH), I (ETH), O (both), P (RTH), R (RTH), & S (ETH) |
V | Cumulative Volume | Estimated volume sent at the end of the sessions. |
X | Text | General text, Flex Options, Lead month information. |
Y | Cash Prices | Indices and spot prices are reported in this message. An X or Y used for month code. |
Z | Contract Specs | Only certain type codes. |
Buy/Sell Indicator
| Code | Definition |
|---|---|
Space | Not specified |
B | Buy |
S | Sell |
Exceptional Indicator
| Code | Definition |
|---|---|
A | Asset Allocation |
B | Wholesale (Block) Trading |
C | OPTN (OTC-PNT) |
E | Exchange for Physical |
F | Average price for five minute session |
G | Against Actual |
H | Match/Cross Trade |
O | Average price for one minute session |
P | Exchange for Physical |
R | Exchange for Risk |
S | Basis |
U | Exchange for Option |
W | Exchange for Swaps |
Market Condition Indicator
| Code | Definition |
|---|---|
A | Halt Trading |
B | Resume Trading |
E | End Fast Market |
F | Start Fast Market |
L | Start Late Market (Time may not be exact) |
M | End Late Market |
P | Start Post Suspension/Close/Settle Session |
Q | End Post Suspension/Close/Settle Session |
Volume/Open Interest Indicator
| Code | Definition |
|---|---|
Space | Volume / Open interest Field Not Updated |
A | Actual |
E | Estimated |
Request Indicator
| Code | Definition |
|---|---|
D | End Request for Quote |
R | Start Request for Quote |
Range Indicator
| Code | Definition |
|---|---|
B | Indicative Bid/Ask with Delta |
C | Close |
D | Day Open |
I | Indicative Open |
O | Open |
P | Post Close / Suspension |
R | Resumption of Trading |
S | Suspension of Trading |